Equity risk ticks-up in the US, Canada, Japan and Australia; Asset correlations climb in the US; Mexican peso strengthens against the US dollar

Bond yields rebound as virus fears ebb
Dollar surges on revived risk appetites
Portfolio risk soars as share prices rally




Bond yields rebound as virus fears ebb


Global government bond yields rebounded in the week ending February 7, 2020, as share prices in the United States recorded their biggest weekly gain in eight months. American blue-chip indices recovered the losses of the previous two weeks and rose to yet higher heights, after reports that the People’s Bank of China would step in to shield the country’s economy from effects of the coronavirus outbreak. This was followed by an announcement from Beijing that it would halve tariffs on some imports from the US, as part of the “phase one” trade agreement between the two countries.

20200110_Image 1.PNG

Please refer to figure 4 of the current Multi-Asset Class Risk Monitor (dated February 7, 2020) for further details.


Dollar surges on revived risk appetites


The US dollar appreciated 1.33% against a basket of its major rivals in the week ending February 7, 2020, as investors shifted funds back into riskier assets. The so-called Dollar Index posted its strongest weekly return since April 2018, with gains across almost all G10 currencies. The British pound experienced the biggest loss of 1.9%, as both the UK and the European Union braced for tough negotiations ahead, after Britain officially left the bloc on January 31. The move resulted in an increase in short-horizon exchange-rate risk, with the predicted volatility for GBP/USD rising to 7.43%.

20200110_Image 2.PNG

Please refer to figure 6 of the current Multi-Asset Class Risk Monitor (dated February 7, 2020) for further details.


Portfolio risk soars as share prices rally


Short-term risk in Axioma’s global multi-asset class model portfolio soared 0.70% to 4.92% as of Friday, February 7, 2020, as standalone equity volatility jumped by 4.5 percentage points to 12.5%, amid the global stock-market rebound. The rise in total risk was mostly reflected in the three equity buckets, which saw their joint share of overall volatility surge by a combined 26%. However, much of this was offset by an opposing motion for the fixed-income assets in the portfolio, all of which now actively reduce overall risk, except for the high-yield category. The co-movement of the US dollar with the stock market was so strong amid the returning risk appetites that most foreign-currency assets now also decrease total portfolio volatility, as all other currencies depreciated against the greenback.

20200110_Image 3.PNG

Please refer to figures 7-10 of the current Multi-Asset Class Risk Monitor (dated February 7, 2020) for further details.

Stay Connected


Webinar | Qontigo Insight™ Quarterly Multi-Asset Risk Review

Date: February 18, 2020
Time: 11:00 AM (ET) | 4:00 PM (GMT)

Join Christoph V. Schon, Qontigo’s Executive Director of Applied Research, in this webinar to hear how this apparent disagreement between the two major asset classes affected portfolio risk and diversification opportunities.

Register here >

Qontigo Investment Intelligence Summit: London 2020

Date: April 2, 2020

This one-day event will bring together more than 300 investment and risk professionals to discuss the latest in portfolio construction and risk analytics, indexing and technology. Join us for a full day of expert presenters, illuminating presentations and thought-provoking discussion.

Register here >


Axioma Risk Monitor

The Axioma Risk Monitor reports use Axioma’s solutions to bring you insights on trends in market and portfolio risk. You can subscribe to both the multi-asset class and equity edition here.

Qontigo ROOF Scores

Qontigo's ROOF Scores were created to quantify market sentiment — bullish or bearish? ROOF is an acronym for Risk-On/Risk-Off market conditions; the Scores are calculated from the factor returns to eight style factors from Axioma’s fundamental factor risk models, plus two indicators of changing market volatility. 

On the Blog

N-PORT Requirements for Small Entities: Time to Start Filing is Near

Back in June of 2018, the Securities and Exchange Commission (SEC) started to require large registered investment companies to report their monthly position holdings under Form N-PORT, but now it’s time for smaller companies to follow suit.


Latest Research

Deeper Insight Into Fixed Income Portfolios: Factor-based Attribution and Portfolio Construction with a DTS-style Risk Model

The ability to attribute portfolio risk and performance to key factors is an essential tool for helping portfolio managers to understand their risk and interpret their results. It is notoriously difficult, however, to build such models for bond portfolios. Advanced modeling techniques are required, so that the factor returns used to measure portfolio risk reliably capture systemic risk rather than noise.

In the News

Qontigo Names Brian Rosenberg as Chief Revenue Officer

Rosenberg will lead Qontigo’s sales, marketing, applied-research and customer-experience teams across its global index and analytics business.


MiFID II Statement: Axioma believes that the research we provide falls outside the purview of the MiFID II regulations, which are intended to provide transactional transparency and unbundle research and trading costs. Axioma does not provide recommendation research, is not a regulated company and our business is not transactional. As such, we do not believe that we are subject to MiFID II regulation.

Axioma  17 State Street, 2700    New York  NY  10004  United States